Weather derivatives pricing using regime switching model

DOI10.1515/mcma-2018-0002zbMath1408.91212OpenAlexW2597724362MaRDI QIDQ1746426

Xiangfeng Yang, Martin Singull, Emmanuel Evarest, Fredrik Berntsson

Publication date: 25 April 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-0002

zbMATH Keywords

option pricingregime switchingMonte Carlo simulationweather derivativesarbitrage-free pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas ⋮ Weather derivatives pricing using regime switching model

Cites Work

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